I just purchased the plugin in the Unity sale and I can say, yes, it does have coloured underline (and strikethrough) support. Seems a bit odd with the instantiated sprites under the text, but its there :)

The underline code is handled a custom event - please check out the underline/strikethrough example scene to see how that works! (It's done this way so underlines can be drawn in any way without needing to be rigidly built-in. This method would let someone make a zigzag underline with little modification, for instance)

Basically, a custom event like <e2=underline>This text is underlined!</e2> is used to draw an underline under your text. The code I included lets you change colour per-mesh, so you should already be able to change the colour this way! Check out the components atached to the STM object in that scene, and that should explain it well!